Question: Suppose that a commodity's forward prices for 1 year and 2 years are $95 and $89. The 1-year effective annual interest rate is 3.4%, and

Suppose that a commodity's forward prices for 1 year and 2 years are $95 and $89. The 1-year effective annual interest rate is 3.4%, and the 2-year interest rate is 3.8%. You will pay a fixed rate of $92.06173 in a 2-year swap and receive the floating rate. Now suppose that just after you enter into the contract, the 1-year and 2-year interest rates each rise by 50 basis points . What is the value of your swap position after this change?

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